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From m...@apache.org
Subject svn commit: r1149350 - in /commons/proper/math/trunk/src: main/java/org/apache/commons/math/random/RandomDataImpl.java test/java/org/apache/commons/math/random/RandomDataTest.java
Date Thu, 21 Jul 2011 20:37:36 GMT
Author: mikl
Date: Thu Jul 21 20:37:35 2011
New Revision: 1149350

URL: http://svn.apache.org/viewvc?rev=1149350&view=rev
Log:
Added fix for MATH-585: Implemented faster generation of random gamma variates using Ahrens
and Dieter (1974) and Marsaglia and Tsang (2001). Test case was improved, too.

Modified:
    commons/proper/math/trunk/src/main/java/org/apache/commons/math/random/RandomDataImpl.java
    commons/proper/math/trunk/src/test/java/org/apache/commons/math/random/RandomDataTest.java

Modified: commons/proper/math/trunk/src/main/java/org/apache/commons/math/random/RandomDataImpl.java
URL: http://svn.apache.org/viewvc/commons/proper/math/trunk/src/main/java/org/apache/commons/math/random/RandomDataImpl.java?rev=1149350&r1=1149349&r2=1149350&view=diff
==============================================================================
--- commons/proper/math/trunk/src/main/java/org/apache/commons/math/random/RandomDataImpl.java
(original)
+++ commons/proper/math/trunk/src/main/java/org/apache/commons/math/random/RandomDataImpl.java
Thu Jul 21 20:37:35 2011
@@ -31,7 +31,6 @@ import org.apache.commons.math.distribut
 import org.apache.commons.math.distribution.ChiSquaredDistributionImpl;
 import org.apache.commons.math.distribution.ContinuousDistribution;
 import org.apache.commons.math.distribution.FDistributionImpl;
-import org.apache.commons.math.distribution.GammaDistributionImpl;
 import org.apache.commons.math.distribution.HypergeometricDistributionImpl;
 import org.apache.commons.math.distribution.IntegerDistribution;
 import org.apache.commons.math.distribution.PascalDistributionImpl;
@@ -676,8 +675,17 @@ public class RandomDataImpl implements R
 
     /**
      * Generates a random value from the {@link GammaDistributionImpl Gamma Distribution}.
-     * This implementation uses {@link #nextInversionDeviate(ContinuousDistribution) inversion}
-     * to generate random values.
+     *
+     * This implementation uses the following algorithms:
+     *
+     * For 0 < shape < 1:
+     * [1]: Ahrens, J. H. and Dieter, U. (1974). Computer methods for
+     * sampling from gamma, beta, Poisson and binomial distributions.
+     * Computing, 12, 223-246.
+     *
+     * For shape >= 1:
+     * [2]: Marsaglia and Tsang (2001). A Simple Method for Generating
+     * Gamma Variables. ACM Transactions on Mathematical Software, 26,
      *
      * @param shape the median of the Gamma distribution
      * @param scale the scale parameter of the Gamma distribution
@@ -686,7 +694,75 @@ public class RandomDataImpl implements R
      * @since 2.2
      */
     public double nextGamma(double shape, double scale) throws MathException {
-        return nextInversionDeviate(new GammaDistributionImpl(shape, scale));
+        if (shape < 1) {
+            /*
+            final double gamma = this.nextOldGamma(1 + shape, scale);
+            final double u = this.nextUniform(0, 1);
+            return gamma * FastMath.pow(u, 1/shape);
+            */
+
+            // [1]: p. 228, Algorithm GS
+
+            while (true) {
+                // Step 1:
+                final double u = this.nextUniform(0, 1);
+                final double bGS = 1 + shape/FastMath.E;
+                final double p = bGS*u;
+
+                if (p <= 1) {
+                    // Step 2:
+
+                    final double x = FastMath.pow(p, 1/shape);
+                    final double u2 = this.nextUniform(0.0, 1);
+
+                    if (u2 > FastMath.exp(-x)) {
+                        // Reject
+                        continue;
+                    } else {
+                        return scale*x;
+                    }
+                } else {
+                    // Step 3:
+
+                    final double x = -1 * FastMath.log((bGS-p)/shape);
+                    final double u2 = this.nextUniform(0, 1);
+
+                    if (u2 > FastMath.pow(x, shape - 1)) {
+                        // Reject
+                        continue;
+                    } else {
+                        return scale*x;
+                    }
+                }
+            }
+        }
+
+        // Now shape >= 1
+
+        final RandomGenerator generator = this.getRan();
+        final double d = shape - 0.333333333333333333;
+        final double c = 1.0 / (3*FastMath.sqrt(d));
+
+        while (true) {
+            final double x = generator.nextGaussian();
+            final double v = (1+c*x)*(1+c*x)*(1+c*x);
+
+            if (v <= 0) {
+                continue;
+            }
+
+            final double xx = x*x;
+            final double u = this.nextUniform(0, 1);
+
+            // Squeeze
+            if (u < 1 - 0.0331*xx*xx) {
+                return scale*d*v;
+            }
+
+            if (FastMath.log(u) < 0.5*xx + d*(1 - v + FastMath.log(v))) {
+                return scale*d*v;
+            }
+        }
     }
 
     /**

Modified: commons/proper/math/trunk/src/test/java/org/apache/commons/math/random/RandomDataTest.java
URL: http://svn.apache.org/viewvc/commons/proper/math/trunk/src/test/java/org/apache/commons/math/random/RandomDataTest.java?rev=1149350&r1=1149349&r2=1149350&view=diff
==============================================================================
--- commons/proper/math/trunk/src/test/java/org/apache/commons/math/random/RandomDataTest.java
(original)
+++ commons/proper/math/trunk/src/test/java/org/apache/commons/math/random/RandomDataTest.java
Thu Jul 21 20:37:35 2011
@@ -910,14 +910,28 @@ public class RandomDataTest {
 
     @Test
     public void testNextGamma() throws Exception {
-        double[] quartiles = TestUtils.getDistributionQuartiles(new GammaDistributionImpl(4,
2));
-        long[] counts = new long[4];
+        double[] quartiles;
+        long[] counts;
+        
+        // Tests shape > 1, one case in the rejection sampling
+        quartiles = TestUtils.getDistributionQuartiles(new GammaDistributionImpl(4, 2));
+        counts = new long[4];
         randomData.reSeed(1000);
         for (int i = 0; i < 1000; i++) {
             double value = randomData.nextGamma(4, 2);
             TestUtils.updateCounts(value, counts, quartiles);
         }
         TestUtils.assertChiSquareAccept(expected, counts, 0.001);
+        
+        // Tests shape <= 1, another case in the rejection sampling        
+        quartiles = TestUtils.getDistributionQuartiles(new GammaDistributionImpl(0.3, 3));
+        counts = new long[4];
+        randomData.reSeed(1000);
+        for (int i = 0; i < 1000; i++) {
+            double value = randomData.nextGamma(0.3, 3);
+            TestUtils.updateCounts(value, counts, quartiles);
+        }
+        TestUtils.assertChiSquareAccept(expected, counts, 0.001);
     }
 
     @Test



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